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Effects of macroeconomic variables on Istanbul stock exchange indexes

  • Cumhur Erdem
  • Cem Kaan Arslan
  • Meziyet Sema Erdem
Registered author(s):

    Price volatility spillovers in ISE indexes were analysed based on monthly data from January 1991 to January 2004 for exchange rate, interest rate, inflation, industrial production and M1 money supply. The Exponential Generalized Autoregressive Conditional Heteroscedasticity model was used to test univariate volatility spillovers for macroeconomic variables. It was found that there exists unidirectional strong volatility spillover from inflation, interest rate to all stock price indexes. There are spillovers from M1 money supply to financial index, and from exchange rate to both IMKB 100 and industrial indexes. There is no volatility spillover from industrial production to any index.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500120365
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    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 15 (2005)
    Issue (Month): 14 ()
    Pages: 987-994

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    Handle: RePEc:taf:apfiec:v:15:y:2005:i:14:p:987-994
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    1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    2. Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, vol. 13(1), pages 27-51.
    3. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
    4. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    5. Angelos Kanas & George Kouretas, . "Volatility Spillovers between the Black and Official Market for foreign Currency in Greece," Working Papers 9903, University of Crete, Department of Economics.
    6. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
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